To help more we will need example code (be sure it compiles and is enclosed in "code" tags).

Generally speaking, VC++ is quite good at displaying the class's methods/variables in auto-completion mode. I have used that as a way to explore the functionality of an object a number of times. It doesn't always work (I find it is problematic in header files for some reason). There should be documentation for the object somewhere, look that up. If it is private, third-party, ask them for documentation. There are also supposed to be tools to extract that information and display it graphically for you, you can google and try some out.

The easiest way to pull a dll into a program is to the #import pre-processor directive that VS recognizes. There are other ways too though...a quick search pulled up an article at flipcode that seems pretty well written: http://www.flipcode.com/tutorials/tut_dll01.shtml